You have to dig for the Outlook Express files. They are inside
C:\Documents and Settings\<your user folder>\Local Settings\Application Data\Identities\<big long string of numbers>\Microsoft\Outlook Express
The Local Settings folder is normally hidden, you have to go to Show Hidden Files and Folders under Start > Control Panel > Folder Options > View.
www.insideoe.com/files/store.htm
support.microsoft.com/kb/270670
Importing Outlook Express data into Outlook
office.microsoft.com/en-us/outlook-help/import-your-messages-or-account-from-outlook-express-to-outlook-HA001094387.aspx
support.microsoft.com/kb/196215
The Outlook Import Wizard assumes that there is a copy of Outlook Express installed and running on the machine. Which is a problem because Microsoft no longer supplies Outlook Express on new machines.
You can check out software to convert DBX files to something else http://download.cnet.com/1770-20_4-0.html?query=DBX&platformSelect=Windows&tag=srch&searchtype=downloads&filterName=platform%3DWindows&filter=platform%3DWindows